Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure

DOI10.1007/S13385-018-0168-4MaRDI QIDQ1616044zbMATH OpenOpenAlexFDO

Authors Dominique Abgrall, Marine Habart, Catherine Rainer, Aliou Sow

Publication date 31 October 2018

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-018-0168-4

zbMATH Keywords

sequential estimationlongevity riskchange-pointdiscrete Poisson modelmortality jumpsmortality trendShiryaev-Roberts process

Mathematics Subject Classification ID

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Cites work

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• Estimation up to a change-point
• Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
• Hidden Markov Models for Time Series
• Inference after truncated one-sided sequential test
• Inference for post-change parameters after sequential CUSUM test under AR(1) model
• Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes
• Multiscale change point inference. With discussion and authors' reply
• On Optimum Methods in Quickest Detection Problems
• On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
• Prospective mortality tables: taking heterogeneity into account

Cited in

(1)

• Multivariate L\'evy-type drift change detection and mortality modeling

Describes a project that uses

Uses Software

• R
• snowfall

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